ITG Software Solutions, Inc.

ITG Software Solutions, Inc. Patent applications

Patent application number

Title

Published

20150052037

SYSTEMS AND METHODS FOR TRADING A TRADE LIST IN FINANCIAL MARKETS - Systems and methods are provided for maintaining neutrality while trading a list of securities using an algorithmic trading facility coupled with at least one destination. This destination includes at least one alternative trading system (ATS). This facility is coupled, via an electronic data network, to a plurality of trading clients, and configured to receive a trade request to trade a list of securities from a trading client. This request includes user defined trading constraints that are used to generate and transmit trade orders to at least one ATS. The orders are transmitted based on trading data related to the destinations, the trade list, and the trading constraints. The facility can identify each executed trade corresponding to the trade orders and calculate a trade imbalance. The facility can determine whether the trade imbalance exceeds the trading constraints, and reallocate one or more of said submitted orders based on this determination.

02-19-2015

20150012412

SYSTEM AND METHOD FOR GENERATING REAL-TIME INDICATORS IN A TRADING LIST OR PORTFOLIO - A trading platform computer system for detecting an abnormal trading condition of a security uses real-time and estimated values of one or more variables associated with the condition of the security to generate one or more analytic metrics that are compared to empirical distributions based on one or more peer groups for the security. An indicator can then be displayed to a trader as an indication of the abnormal condition.

01-08-2015

20140372278

METHOD AND APPARATUS FOR IMPROVED ELECTRONIC TRADING - A method and apparatus for outputting data that represents the change in value of an options premium that would have resulted if the options traded in a direct linear volume relationship with its underlying security is provided. Input values utilized include a delta value, a gamma value, a value-weighted average price of an underlying stock, a reference price of the underlying stock, and an original order premium value.

12-18-2014

20140372277

SYSTEMS AND METHODS REGARDING TARGETED DISSEMINATION - One exemplary aspect comprises a computer-implemented method comprising: (a) electronically receiving, from a first securities market participant, data including information related to a first order and to one or more group rankings for dissemination; (b) electronically determining with one or more processors, based on data regarding a second securities market participant and the order information and group rankings, whether the second securities market participant has a second order, on the contra side of the first order, and whether, in accordance with the group rankings, the second securities market participant is qualified to receive information about the first order; and, (c) after, and only if, the second participant is determined to be qualified, transmitting information sufficient to display to the second securities market participant the information about the first order.

12-18-2014

20140358761

SYSTEM AND METHOD FOR EXECUTING STRATEGY SECURITY TRADING - A computer implemented method and system for executing block trades for a security includes steps or devices for receiving a block trade request, at a computer system. The block request includes data representing a quantity of shares of the security to be traded over a period of time. The computer system divides the period of time into a plurality of time bins. A computer system, for the received block trade request, computes, for each time bin, a number of shares to be traded as a trading target based on at least historical trading volumes using predictive analysis. For a first time bin, a computer system generates executable trade orders for a number of shares to be traded that is substantially equal to the trading target for the first time bin. A computer system executes at least a portion of the executable trade orders in a trade forum within each time bin in the future.

12-04-2014

20140337197

FAIR VALUE MODEL BASED SYSTEM, METHOD, AND COMPUTER PROGRAM PRODUCT FOR VALUING FOREIGN-BASED SECURITIES IN A MUTUAL FUND - A system for determining fair value prices of financial securities of international markets includes selecting a universe of securities of a particular international market, computing overnight returns of each security in the selected universe over a predetermined past period of time, selecting at least one return factor of a domestic financial market from a plurality of return factors, computing, for each selected return factor, the return factor's daily return over said predetermined past period of time, calculating, for each selected return factor, a return factor coefficient for each security in the selected universe by performing a time series regression to obtain the contribution of each return factor's return to the security's overnight return, and producing each calculated return factor coefficient in a data stream.

11-13-2014

20140297364

METHODS AND SYSTEMS FOR USING MULTIPLE DATA SETS TO ANALYZE PERFORMANCE METRICS OF TARGETED COMPANIES - New and improved methods and systems for modeling the performance of selected company metrics. Multiple, non-traditional sets of objective data along with mathematical analytical techniques are used to provide transparency and visibility into company performance relating to the particular metrics. Company inflection points and changes in strategy may be identified. The performance of a company and/or the performance of a selected industry or industry sector may be analyzed.

10-02-2014

20140195407

CONFIDENTIAL BLOCK TRADING SYSTEM AND METHOD - Methods and systems for facilitating trading of securities, preferred methods comprising receiving a first buy or sell order from a first user; calculating a block price range; determining that said first order is reasonably priced; transmitting to a second user a notification that a reasonably priced order is present, but without notifying said second user of the side; receiving a second order from said second user, wherein said second order is a contra to said first order and nearly matches but does not cross said first order; transmitting a contra order notification to said second user after said second order is received, said contra order notification indicating that a nearly matching contra order is active; receiving a third order from said second user, said third order being a contra to said first order and crossing said first order; and executing a trade comprising said first order and said third order.

07-10-2014

20140195406

METHOD FOR AGENCY COST ESTIMATION - A method for forecasting the transaction cost of a portfolio trade execution that may be applied to any given trading strategy or an optimal trading strategy that minimizes transaction costs. The system accepts user-defined input variables from customers and generates a transaction cost estimation report based on those variables. Two models are utilized: discretionary and non-discretionary. A specific transaction cost estimation and optimization is performed that model the transaction costs of a specific trade execution based on the user's trading profile and market variables.

07-10-2014

20140188762

METHOD AND SYSTEM FOR MULTIPLE PORTFOLIO OPTIMIZATION - Methods and systems for optimizing a plurality of portfolios, each portfolio including one or more shares of one or more tradable assets, and may include the steps of: receiving asset data associated with the plurality of the portfolios; receiving one or more optimization constraints including at least one global constraint defining a constraint to be applied across an aggregate of the plurality of portfolios; for each portfolio, optimizing the asset data based on the one or more optimization constraints to create optimized portfolio data; aggregating the optimized portfolio data to create aggregate optimized asset data; determining if the aggregate optimized asset data satisfies the at least one global constraint; and only if the at least one global constraint is satisfied, outputting the optimized asset data.

07-03-2014

20140101020

SYSTEM AND METHOD FOR GENERATING LIQUIDITY - A system for generating liquidity includes a plurality of client user interfaces and a matching system. Each client user interface includes a trading desktop which stores unexecuted trading positions. The matching system is coupled with the plurality of client user interfaces and configured to receive information about the unexecuted trading positions. The system can identify as a match one or more first indications of interest which can fulfill one or more second indications of interest, based upon the information about the unexecuted trading positions. For the identified matches, the system can provide a notification of the match and an invitation to execute the match to corresponding client user interfaces. When an invitation is accepted, the system forwards an order to an order execution system for execution.

04-10-2014

20140081822

AUTOMATED BATCH AUCTIONS IN CONJUNCTION WITH CONTINUOUS FINANCIAL MARKETS - A method and system for performing a batch auction whereby a series of orders, according to a variety of predetermined order types, are generated by qualified market participants and communicated to an auction system. The auction system takes into account each order and its impact upon relative supply and demand to determine by a preset algorithm a price and share transaction quantity. Trades are executed at the price, and a portion of the transaction quantity is allocated to each investor on a fair basis dependent upon their initial orders. In embodiments of the present invention, the auction system uses a computer system or network designed to automatically perform one or more steps of the above method. Such a system is preferably connected to one or more ECNs such that non-executed shares can be automatically sent to outside sources for execution. In alternative embodiments, the invention includes the use of a one or more intermediaries or market makers to cover certain unexecuted trades at the determined price. The present invention is preferably used to conduct batch auctions at the opening and closing of securities trading markets.

03-20-2014

20140025554

SYSTEMS, METHODS, AND COMPUTER PROGRAM PRODUCTS FOR PROVIDING REAL TIME ANALYTIC WIDGETS IN A FINANCIAL TRADING SYSTEM - Methods, systems, and computer program products are provided for providing real time analytics and monitoring to a user of a securities trading system. In one embodiment, a list of one or more securities may be selected from a trading blotter and a widget engine may obtain one or more analytics for the list of one or more securities based on real time market and/or transaction cost data. The widget engine may display a graphical representation of the analytics in a manner that compliments the workflow of a trader. The graphical representation may be automatically updated based on real-time market data.

METHODS AND SYSTEMS FOR USING MULTIPLE DATA SETS TO ANALYZE PERFORMANCE METRICS OF TARGETED COMPANIES - New and improved methods and systems for modeling the performance of selected company metrics. Multiple, nontraditional sets of objective data along with mathematical analytical techniques are used to provide transparency and visibility into company performance relating to the particular metrics. Company inflection points and changes in strategy may be identified. The performance of a company and/or the performance of a selected industry or industry sector may be analyzed.

09-05-2013

20130211999

SYSTEM AND METHOD FOR ESTIMATING AND OPTIMIZING TRANSACTION COSTS - A method and system for forecasting the transaction cost of a portfolio trade execution that may be applied to any given trade strategy or an optimal trade strategy that minimizes transaction costs. In preferred embodiments, a server comprises one or more computers that act as an automated forecaster whereby it accepts user-defined input variables from customers and generates a transaction cost estimation report based on those variables. The server is programmed with specific transaction cost estimation and optimization algorithms that model the transaction costs of a specific trade execution based on the user's trading profile and market variables.

08-15-2013

20130204771

SYSTEMS AND METHODS REGARDING TARGETED DISSEMINATION - One exemplary aspect comprises a computer-implemented method comprising: (a) electronically receiving, from a first securities market participant, data including information related to a first order and to one or more group rankings for dissemination; (b) electronically determining with one or more processors, based on data regarding a second securities market participant and the order information and group rankings, whether the second securities market participant has a second order, on the contra side of the first order, and whether, in accordance with the group rankings, the second securities market participant is qualified to receive information about the first order; and (c) after, and only if, the second participant is determined to be qualified, transmitting information sufficient to display to the second securities market participant the information about the first order.

APPARATUS AND METHOD FOR TRADE AGGREGATION OF TRADE ALLOCATIONS AND SETTLEMENTS - A post-trade aggregation system for financial instrument trading systems, wherein a trader manages a plurality of trade orders to be executed by one or more executing brokers on behalf of customers via a data interface system. The plurality of trade orders includes at least one wrap block order and at least one institutional block order. The plurality of trade orders are merged into a single merged block order, apportioned into a plurality of smaller electronic trade orders, and transmitted to a plurality of order destinations. One or more computer systems are in electronic communication with the data interface system and with a clearing system, and configured to compress individual executions from the plurality of order destinations corresponding to the plurality of smaller electronic trade orders into a single net marked-up step-out for wrap orders and a single average-priced block for institutional orders.

06-06-2013

20130124381

SYSTEM, METHOD, AND COMPUTER PROGRAM PRODUCT FOR EXECUTING A BUY OR SELL ORDER - An auto-trading strategy for executing an order to buy or sell a specified quantity of a certain item. The strategy utilizes urgency scores rather than time bins. In one embodiment, an urgency score is determined at a certain point in time. The urgency score is a function of a trading target associated with the point in time and the actual number of items that have been traded as of the certain point in time.

05-16-2013

20130091072

ALGORITHM FOR POST-TRADE ANALYSIS AND FORMULATION OF OPTIMIZED STRATEGY FOR SUBSEQUENT TRADES - A computer-implemented system and method for using market data and analysis of previous trades to improve return on investment in one or more future trades. Historical trading data relating to a fund is collected and used to identify an alpha profile of the fund. Outcomes of a plurality of strategies for trading a security are simulated based on the identified alpha profile, and an optimized trading strategy is determined based on the results of the simulations.

04-11-2013

20130060677

SYSTEMS AND METHODS FOR TRADING A TRADE LIST IN FINANCIAL MARKETS - Systems and methods are provided for maintaining neutrality while trading a list of securities using an algorithmic trading facility coupled with at least one destination. This destination includes at least one alternative trading system (ATS). This facility is coupled, via an electronic data network, to a plurality of trading clients, and configured to receive a trade request to trade a list of securities from a trading client. This request includes user defined trading constraints that are used to generate and transmit trade orders to at least one ATS. The orders are transmitted based on trading data related to the destinations, the trade list, and the trading constraints. The facility can identify each executed trade corresponding to the trade orders and calculate a trade imbalance. The facility can determine whether the trade imbalance exceeds the trading constraints, and reallocate one or more of said submitted orders based on this determination.

03-07-2013

20130006834

METHODS AND SYSTEMS FOR DIRECTING AND EXECUTING CERTIFIED TRADING INTERESTS - One or more aspects comprise: (a) receiving confidential information that comprises data regarding first and second market participants; (b) receiving order and targeting parameters from said first participant; (c) receiving confidential trading interest information from said second participant; (d) identifying said second participant as a participant likely to take a contra side of said order; (e) routing said order to said second participant without revealing said first participant's identity or other confidential information regarding said first market participant, and wherein no information regarding said second participant or said confidential trading interest information received from said second participant is transferred to said first participant; and (f) producing a targeted dissemination list of market participants based on said confidential information and said order and targeting parameters, and wherein identifying a second participant that is most likely to take a contra side of said order is based on said dissemination list.

01-03-2013

20120303549

MINIMIZING SECURITY HOLDINGS RISK DURING PORTFOLIO TRADING - A method and computer program product for minimizing short-term risk to a portfolio of securities holdings during implementation of executing an outstanding trade list of securities to be traded, takes into account covariances between securities in the outstanding trade list and between securities in the outstanding trade list and securities in the portfolio of holdings so as to minimize risk to the portfolio of holdings as well as to a residual trade list of unexecuted orders during said implementation.

11-29-2012

20120290464

SYSTEM, METHOD AND PROGRAM FOR AGENCY COST ESTIMATION - A method, system and computer program product for forecasting the transaction cost of a portfolio trade execution that may be applied to any given trading strategy or an optimal trading strategy that minimizes transaction costs. The system accepts user-defined input variables from customers and generates a transaction cost estimation report based on those variables. Two models are utilized: discretionary and non-discretionary. A specific transaction cost estimation and optimization is performed that model the transaction costs of a specific trade execution based on the user's trading profile and market variables.

11-15-2012

20120254070

FAIR VALUE MODEL BASED SYSTEM, METHOD, AND COMPUTER PROGRAM PRODUCT FOR VALUING FOREIGN-BASED SECURITIES IN A MUTUAL FUND - A system for determining fair value prices of financial securities of international markets includes selecting a universe of securities of a particular international market, computing overnight returns of each security in the selected universe over a predetermined past period of time, selecting at least one return factor of a domestic financial market from a plurality of return factors, computing, for each selected return factor, the return factor's daily return over said predetermined past period of time, calculating, for each selected return factor, a return factor coefficient for each security in the selected universe by performing a time series regression to obtain the contribution of each return factor's return to the security's overnight return, and producing each calculated return factor coefficient in a data stream.

10-04-2012

20120246053

SYSTEMS AND METHODS FOR ELECTRONIC TRADING - Systems and methods of changing electronic trade order properties are provided. A GUI display is provided that displays features regarding placed electronic trade orders. The GUI may include further features for quickly and easily changing features. For example, a first button maybe provided that lists current properties of a selected electronic trade order and is not available for user interaction. A second button may be provided that lists an available change to the current properties of the selected electronic trade order and is available for user interaction. If the second button is activated, one or more electronic cancel and replace orders are executed to create a new order having properties of the selected electronic trade order and at least one changed property that is listed by the second button. The GUI is then updated to reflect the new orders.

09-27-2012

20120215677

SYSTEM AND METHOD FOR ESTIMATING AND OPTIMIZING TRANSACTION COSTS - A method and system for forecasting the transaction cost of a portfolio trade execution that may be applied to any given trade strategy or an optimal trade strategy that minimizes transaction costs. In preferred embodiments, a server comprises one or more computers that act as an automated forecaster whereby it accepts user-defined input variables from customers and generates a transaction cost estimation report based on those variables. The server is programmed with specific transaction cost estimation and optimization algorithms that model the transaction costs of a specific trade execution based on the user's trading profile and market variables.

MANAGING SECURITY HOLDINGS RISK DURING PORTFOLIO TRADING - The present invention provides methods and systems for managing short-term risk to a portfolio of securities holdings while executing an outstanding trade list. The methods and systems may include steps of determining covariances between securities in the outstanding trade list and securities in the portfolio of holdings; receiving a risk variable, at least one constraint on the execution of a trade, and a proposed quantity representing a portion of said outstanding trade list desired to be executed at a particular time; and determining an immediately executable trade list based at least in part on the covariances and risk variable. The executable trade list must satisfy all of the trade constraints and also must be substantially equal to or less then the proposed quantity.

08-09-2012

20120191589

DYNAMIC AGGRESSIVE/PASSIVE PEGGED TRADING - A computer-implemented system and method for executing trades of financial securities according to a combination passive/aggressive trading strategy that reliably executes trades of lists of securities or blocks of a single security within a desired time frame while taking advantage of dynamic market movement to realize price improvement for the trade within the desired time frame. A passive trading agent executes trades at advantageous prices by floating portions of the order at the bid or ask to maximize exposure to the inside market and attract market orders. An aggressive agent opportunistically takes liquidity as it arises, setting discretionary prices in accordance with historical trading data of the specified security.

07-26-2012

20120179597

SYSTEMS, METHODS AND COMPUTER PROGRAM PRODUCTS FOR ADAPTIVE TRANSACTION COST ESTIMATION - A system, method and computer program product are provided for forecasting the transaction costs of a trade using empirical data and user-defined modeling constraints based on real-time data regarding changes in market conditions. In preferred embodiments, the invention acts as a forecaster whereby it accepts inputs from customers and identifies real-time market analytics, and provides dynamically adjusted ex ante cost estimates and metrics for the prevailing market conditions. Specific cost estimation and optimization algorithms can be provided to model transaction costs of a specific trade based on empirical data and real-time variables.

07-12-2012

20120179590

ALGORITHMIC TRADING SYSTEM AND METHOD - A system and method for allowing market participants to evaluate the likelihood of finding hidden volume. The model can predict hidden volume and assess the probability that a market order will be executed within the spread and better than the mid-quote. The cost per immediate execution can be assessed.

07-12-2012

20120150717

SYSTEM, METHOD AND PROGRAM FOR PREVENTING GAMING IN A TRADING SYSTEM - System, method, and program for preventing gaming in a trading system. The systems, methods and programs can receive an order from a trader to trade securities in an alternative trading system, determine if gaming is occurring, set a price collar for the order, and submit the order to the alternative trading system with the price collar.

06-14-2012

20120089503

SYSTEMS AND METHODS FOR TRADING A TRADE LIST IN FINANCIAL MARKETS - Systems and methods are provided for maintaining neutrality while trading a list of securities using an algorithmic trading facility coupled with at least one destination. This destination includes at least one alternative trading system (ATS). This facility is coupled, via an electronic data network, to a plurality of trading clients, and configured to receive a trade request to trade a list of securities from a trading client. This request includes user defined trading constraints that are used to generate and transmit trade orders to at least one ATS. The orders are transmitted based on trading data related to the destinations, the trade list, and the trading constraints. The facility can identify each executed trade corresponding to the trade orders and calculate a trade imbalance. The facility can determine whether the trade imbalance exceeds the trading constraints, and reallocate one or more of said submitted orders based on this determination.

04-12-2012

20120066151

Factor Risk Model Based System, Method, And Computer Program Product For Generating Risk Forecasts - A computerized method for generating risk forecasts is provided. A set of securities is selected. A set of risk factors is selected. The risk factor returns a determined. A risk factor covariance matrix and an idiosyncratic variance matrix are constructed. For each risk factor, a factor loading coefficient is determined for each selected security. The risk factor covariance matrix is projected into a future forecast. The idiosyncratic variance matrix is projected into a future forecast. The factor loading coefficients, the future forecast of the risk factor covariance matrix, and the future forecast of the idiosyncratic variance matrix can be used to determine a forecast of the variance-covariance matrix for the selected securities.

03-15-2012

20110320385

FAIR VALUE MODEL BASED SYSTEM, METHOD, AND COMPUTER PROGRAM PRODUCT FOR VALUING FOREIGN-BASED SECURITIES IN A MUTUAL FUND - A system and method for determining fair value prices of financial securities of international markets includes steps of selecting a universe of securities of a particular international market, computing overnight returns of each security in the selected universe over a predetermined past period of time, selecting at least one return factor of a domestic financial market from a plurality of return factors, computing, for each selected return factor, the return factor's daily return over said predetermined past period of time, calculating, for each selected return factor, a return factor coefficient for each security in the selected universe by performing a time series regression to obtain the contribution of each return factor's return to the security's overnight return, and storing each calculated return factor coefficient in a data file.

12-29-2011

20110307365

Computer Method and System for Intermediated Exchanges - In a preferred embodiment, this invention includes software processes distributed on one or more computer systems that exchange messages in order to facilitate an intermediated exchange of financial commodities between a plurality of participants. The messages are exchanged according to a preferred protocol that leads to a satisfactory exchange that meets the objectives of the participants, and that substantially maximizes in a fair manner the total amount of financial commodities exchanged. Optionally, the invention employs heuristic rules in association with the preferred protocol that adapt the protocol to the time and exchange requirements of financial commodities. In other embodiments, this invention is equally applicable to the exchange of any tangible or intangible commodities. In a general embodiment, this invention further includes a preferred message-exchange protocol for the construction of computer programs representing exchange participants and an intermediary. These constructed computer programs exchange messages such that a satisfactory intermediated exchange of commodities is substantially certain to be achieved.

12-15-2011

20110276464

SYSTEM AND METHOD FOR GENERATING REAL-TIME INDICATORS IN A TRADING LIST OR PORTFOLIO - A trading platform computer system for detecting an abnormal trading condition of a security uses real-time and estimated values of one or more variables associated with the condition of the security to generate one or more analytic metrics that are compared to empirical distributions based on one or more peer groups for the security. An indicator can then be displayed to a trader as an indication of the abnormal condition.

11-10-2011

20110276459

SYSTEM AND METHOD FOR EXECUTING STRATEGY SECURITY TRADING - A computer implemented method and system for executing block trades for a security includes steps or devices for receiving a block trade request, at a computer system. The block request includes data representing a quantity of shares of the security to be traded over a period of time. The computer system divides the period of time into a plurality of time bins. A computer system, for the received block trade request, computes, for each time bin, a number of shares to be traded as a trading target based on at least historical trading volumes using predictive analysis. For a first time bin, a computer system generates executable trade orders for a number of shares to be traded that is substantially equal to the trading target for the first time bin. A computer system executes at least a portion of the executable trade orders in a trade forum within each time bin in the future.

11-10-2011

20110258107

SYSTEM AND METHOD FOR ESTIMATING AND OPTIMIZING TRANSACTION COSTS - A method and system for forecasting the transaction cost of a portfolio trade execution that may be applied to any given trade strategy or an optimal trade strategy that minimizes transaction costs. In preferred embodiments, a server comprises one or more computers that act as an automated forecaster whereby it accepts user-defined input variables from customers and generates a transaction cost estimation report based on those variables. The server is programmed with specific transaction cost estimation and optimization algorithms that model the transaction costs of a specific trade execution based on the user's trading profile and market variables.

10-20-2011

20110218935

MINIMIZING SECURITY HOLDINGS RISK DURING PORTFOLIO TRADING - A method and computer program product for minimizing short-term risk to a portfolio of securities holdings during implementation of executing an outstanding trade list of securities to be traded, takes into account covariances between securities in the outstanding trade list and between securities in the outstanding trade list and securities in the portfolio of holdings so as to minimize risk to the portfolio of holdings as well as to a residual trade list of unexecuted orders during said implementation.

09-08-2011

20110196773

SYSTEM AND METHOD FOR EVALUATING SECURITY TRADING TRANSACTION COSTS - A system and method for comparing investment transaction costs of institution peers includes database and a processor coupled to a network. The processor may be configured receive, via the network, security transaction data of investment institutions, which included data for traded securities, transaction order sizes, execution prices, peer identities and timestamps. The processor is further capable of grouping transaction data into groups of orders, calculating order costs and environmental factors for each order, and calculating a peer's average order cost within each group. The data are stored in the database so that it may be retrieved and displayed.

08-11-2011

20110191229

SYSTEM AND METHOD FOR ALLOCATING ELECTRONIC TRADE ORDERS AMONG A PLURALITY OF ELECTRONIC TRADE VENUES - A method and system for optimizing allocation of large block orders for a security for maximum fill rate and minimum information leakage. The invention includes a process by which a block order for a security is allocated to a number of suborders which are then submitted to various electronic trading destinations to be filled. This allocation process involves ranking the suborders on the basis of a quality measurement, calculating and assigned a liquidity expectation to each suborder, determining a maximum target execution rate for the security that will not result in market impact, assigning orders to a trade list beginning with the higher rank suborder until the sum of shares represented in the list is equal to the maximum target execution rate, allocating the suborders not assigned to the trade list, and submitting the suborders to the corresponding electronic trading destination.

08-04-2011

20110082815

METHOD AND SYSTEM FOR MULTIPLE PORTFOLIO OPTIMIZATION - Methods and systems for optimizing a plurality of portfolios, each portfolio including one or more shares of one or more tradable assets, and may include the steps of: receiving asset data associated with the plurality of the portfolios; receiving one or more optimization constraints including at least one global constraint defining a constraint to be applied across an aggregate of the plurality of portfolios; for each portfolio, optimizing the asset data based on the one or more optimization constraints to create optimized portfolio data; aggregating the optimized portfolio data to create aggregate optimized asset data; determining if the aggregate optimized asset data satisfies the at least one global constraint; and only if the at least one global constraint is satisfied, outputting the optimized asset data.

04-07-2011

20110010287

SYSTEMS, METHODS AND COMPUTER PROGRAM PRODUCTS FOR REDIRECTING ELECTRONIC TRADE ORDERS - A system for redirecting electronic trade orders includes trade order routing facilities coupled with an electronic trade routing network and a plurality of trade venues, including one or more third party broker dealer systems and one or more alternative trading systems. The trade order routing facilities are configured to monitor electronic trade orders at destination trade venues to determine the number of available shares remaining. The trade order routing facilities are further configured to monitor the electronic trade routing network and a plurality of trade venues to identify if any executable trade orders exist that could be matched against some or all of the remaining order portion. Then the trade order routing facilities retrieve some or all of the remaining shares and submit trade orders to execute against the identified orders in other trade venues.

01-13-2011

20110004567

FACTOR RISK MODEL BASED SYSTEM, METHOD, AND COMPUTER PROGRAM PRODUCT FOR GENERATING RISK FORECASTS - A computerized method for generating risk forecasts is provided. A set of securities is selected. A set of risk factors is selected. The risk factor returns a determined. A risk factor covariance matrix and an idiosyncratic variance matrix are constructed. For each risk factor, a factor loading coefficient is determined for each selected security. The risk factor covariance matrix is projected into a future forecast. The idiosyncratic variance matrix is projected into a future forecast. The factor loading coefficients, the future forecast of the risk factor covariance matrix, and the future forecast of the idiosyncratic variance matrix can be used to determine a forecast of the variance-covariance matrix for the selected securities.

01-06-2011

20100293109

Systems, Methods and Computer Program Products For Routing Electronic Trade Orders For Execution - A system, method and computer program product are provided for routing electronic trade orders to trade execution venues. At an electronic trading server, electronic order information is received that defines a first electronic trade order including an identification of underlying assets to be traded on an electronic exchange or marketplace, a side of the trade, and a limit price. The electronic order information is stored in an electronic data storage facility. One or more second electronic trade orders are generated from the first electronic trade order and transmitted, via a trade router, to one or more electronic trading venues. Market data for a non-displayed electronic trading venue is received. It is determined if one or more of the second electronic trade orders has become stagnant. If any of orders are determined to be stagnant, the stagnant orders are cancelled and one or more third electronic trade orders are generated based on the first electronic trade order and on the cancelled orders, and transmitted to the non-displayed electronic trading venue.

11-18-2010

20100268664

SYSTEMS, METHODS AND COMPUTER PROGRAM PRODUCTS FOR ADAPTIVE TRANSACTION COST ESTIMATION - A system, method and computer program product are provided for forecasting the transaction costs of a trade using empirical data and user-defined modeling constraints based on real-time data regarding changes in market conditions. In preferred embodiments, the invention acts as a forecaster whereby it accepts inputs from customers and identifies real-time market analytics, and provides dynamically adjusted ex ante cost estimates and metrics for the prevailing market conditions. Specific cost estimation and optimization algorithms can be provided to model transaction costs of a specific trade based on empirical data and real-time variables.

10-21-2010

20100174666

System and Method for Generating Real-Time Indicators iin a Trading List or Portfolio - A trading platform computer system for detecting an abnormal trading condition of a security uses real-time and estimated values of one or more variables associated with the condition of the security to generate one or more analytic metrics that are compared to empirical distributions based on one or more peer groups for the security. An indicator can then be displayed to a trader as an indication of the abnormal condition.

07-08-2010

20100174637

Dynamic Aggressive/Passive Pegged Trading - A computer-implemented system and method for executing trades of financial securities according to a combination passive/aggressive trading strategy that reliably executes trades of lists of securities or blocks of a single security within a desired time frame while taking advantage of dynamic market movement to realize price improvement for the trade within the desired time frame. A passive trading agent executes trades at advantageous prices by floating portions of the order at the bid or ask to maximize exposure to the inside market and attract market orders. An aggressive agent opportunistically takes liquidity as it arises, setting discretionary prices in accordance with historical trading data of the specified security.

07-08-2010

20100125535

Fair Value Model for Futures - A computer implemented method and system for determining fair-value prices of a futures contract of index i having foreign constituent securities includes using a computer to receive electronic data for the index i. A computer can be used to calculate alpha (α) and beta (β) coefficients using a regression analysis. The alpha (α) coefficient represents a risk-adjusted measure of return on the index i, and the beta (β) coefficient represents a metric that is related to a correlation between an overnight return of the index i and a proxy market. A computer can receive a settlement price (SETT

05-20-2010

20100125534

SYSTEMS, METHODS, AND COMPUTER PROGRAM PRODUCTS FOR PROVIDING REAL TIME ANALYTIC WIDGETS IN A FINANCIAL TRADING SYSTEM - Methods, systems, and computer program products are provided for providing real time analytics and monitoring to a user of a securities trading system. In one embodiment, a list of one or more securities may be selected from a trading blotter and a widget engine may obtain one or more analytics for the list of one or more securities based on real time market and/or transaction cost data. The widget engine may display a graphical representation of the analytics in a manner that compliments the workflow of a trader. The graphical representation may be automatically updated based on real-time market data.

05-20-2010

20100121754

SYSTEM AND METHOD FOR EXECUTING STRATEGY SECURITY TRADING - A computer implemented method and system for executing block trades for a security includes steps or devices for receiving a block trade request, at a computer system. The block request includes data representing a quantity of shares of the security to be traded over a period of time. The computer system divides the period of time into a plurality of time bins. A computer system, for the received block trade request, computes, for each time bin, a number of shares to be traded as a trading target based on at least historical trading volumes using predictive analysis. For a first time bin, a computer system generates executable trade orders for a number of shares to be traded that is substantially equal to the trading target for the first time bin. A computer system executes at least a portion of the executable trade orders in a trade forum within each time bin in the future.

05-13-2010

20100076887

AUTOMATED BATCH AUCTIONS IN CONJUNCTION WITH CONTINUOUS FINANCIAL MARKETS - A method and system for performing a batch auction whereby a series of orders, according to a variety of predetermined order types, are generated by qualified market participants and communicated to an auction system. The auction system takes into account each order and its impact upon relative supply and demand to determine by a preset algorithm a price and share transaction quantity. Trades are executed at the price, and a portion of the transaction quantity is allocated to each investor on a fair basis dependent upon their initial orders. In embodiments of the present invention, the auction system uses a computer system or network designed to automatically perform one or more steps of the above method. Such a system is preferably connected to one or more ECNs such that non-executed shares can be automatically sent to outside sources for execution. In alternative embodiments, the invention includes the use of a one or more intermediaries or market makers to cover certain unexecuted trades at the determined price. The present invention is preferably used to conduct batch auctions at the opening and closing of securities trading markets.

03-25-2010

20090299889

System and Method for Estimating Transaction Costs Related to Trading a Security - A method for creating a peer group database includes a step of collecting security transaction data for a preselected period of time, for a plurality of investment institutions. The transaction data includes identity of securities being traded, transaction order sizes, execution prices and execution times. The transaction data is grouped into a plurality of orders. A plurality of cost benchmarks are calculated for each of the orders. Transaction costs are estimated for each investment institution relative to the cost benchmarks. The data is stored.

12-03-2009

20090292633

SYSTEMS AND METHODS FOR VIEWING AND TRADING FUTURES - A method and system for viewing and trading futures and other tradeable objects. The invention includes improved user interfaces for use with trading systems that allows users to more efficiently execute and manage trades. A dynamic price ladder allows a trader to see price gaps while remaining in a dynamic mode. The “sticky cells” feature prevents user errors which can occur when the display updates causing the cell under the mouse pointer to move up or down. Particular portions of the display can be color coded to provide a user with a easy way to determine market trends. A static working order screen allows a trader to visually see working orders from closest to furthest away from the market and can also allow for orders to be cancelled.

11-26-2009

20090281963

Fair Value Model Based System, Method, and Computer Program Product for Valuing Foreign-Based Securities in a Mutual Fund - A system and method for determining fair value prices of financial securities of international markets includes steps of selecting a universe of securities of a particular international market, computing overnight returns of each security in the selected universe over a predetermined past period of time, selecting at least one return factor of a domestic financial market from a plurality of return factors, computing, for each selected return factor, the return factor's daily return over said predetermined past period of time, calculating, for each selected return factor, a return factor coefficient for each security in the selected universe by performing a time series regression to obtain the contribution of each return factor's return to the security's overnight return, and storing each calculated return factor coefficient in a data file.

11-12-2009

20090157563

SYSTEMS, METHODS AND COMPUTER PROGRAM PRODUCTS FOR CREATING A TURNOVER EFFICIENT FRONTIER FOR AN INVESTMENT PORTFOLIO - A method, system and computer program product for optimizing return of an investment fund, based on a correlation between AUM and turnover, include steps of generating a turnover efficient frontier for an investment fund that models fund return versus fund turnover for one or more fund sizes; determining a current fund return and fund turnover of the fund; determined a current position of the fund on the turnover efficient frontier based on the current fund return and fund turnover; and determining whether an increase or a decrease in one of fund size or turnover will move the fund to an optimal point on the turnover efficient frontier.

06-18-2009

20090144187

SYSTEM, METHOD AND COMPUTER PROGRAM PRODUCT FOR DETERMINING UNDISCLOSED ORDER VOLUME - Systems, methods, and computer program product for generating a report or document including a data representation reflecting a distribution of hidden trade order volume across different locations and a relative size, including average hidden order volume, volume executed against hidden orders, as a percentage of total trading volume by exchange, liquidity group and time bins. Order execution data is received for a plurality of executed trades via an electronic quotation feed associated with an electronic trading forum for trading both displayed orders and non-displayed orders. For a plurality of time periods, the location within the best bid, best offer spread, of each executed trade of the plurality of executed trades, is determined by comparing the price of each executed trade for hidden orders to quotes on a limit book for the electronic trading forum at a point in time substantially immediately before the corresponding executed trade.

06-04-2009

20090125448

SYSTEM, METHOD AND PROGRAM FOR AGENCY COST ESTIMATION - A method, system and computer program product for forecasting the transaction cost of a portfolio trade execution that may be applied to any given trading strategy or an optimal trading strategy that minimizes transaction costs. The system accepts user-defined input variables from customers and generates a transaction cost estimation report based on those variables. Two models are utilized: discretionary and non-discretionary. A specific transaction cost estimation and optimization is performed that model the transaction costs of a specific trade execution based on the user's trading profile and market variables.

05-14-2009

20090083175

AUTOMATED BATCH AUCTIONS IN CONJUNCTION WITH CONTINUOUS FINANCIAL MARKETS - A method and system for performing a batch auction whereby a series of orders, according to a variety of predetermined order types, are generated by qualified market participants and communicated to an auction system. The auction system takes into account each order and its impact upon relative supply and demand to determine by a preset algorithm a price and share transaction quantity. Trades are executed at the price, and a portion of the transaction quantity is allocated to each investor on a fair basis dependent upon their initial orders. In embodiments of the present invention, the auction system uses a computer system or network designed to automatically perform one or more steps of the above method. Such a system is preferably connected to one or more ECNs such that non-executed shares can be automatically sent to outside sources for execution. In alternative embodiments, the invention includes the use of a one or more intermediaries or market makers to cover certain unexecuted trades at the determined price. The present invention is preferably used to conduct batch auctions at the opening and closing of securities trading markets.

03-26-2009

20080249959

SYSTEMS AND METHODS FOR TRADING A TRADE LIST IN FINANCIAL MARKETS - Systems and methods are provided for maintaining neutrality while trading a list of securities using an algorithmic trading facility coupled with at least one destination. This destination includes at least one alternative trading system (ATS). This facility is coupled, via an electronic data network, to a plurality of trading clients, and configured to receive a trade request to trade a list of securities from a trading client. This request includes user defined trading constraints that are used to generate and transmit trade orders to at least one ATS. The orders are transmitted based on trading data related to the destinations, the trade list, and the trading constraints. The facility can identify each executed trade corresponding to the trade orders and calculate a trade imbalance. The facility can determine whether the trade imbalance exceeds the trading constraints, and reallocate one or more of said submitted orders based on this determination.

10-09-2008

20080235128

SYSTEMS, METHODS, AND COMPUTER PROGRAM PRODUCTS FOR INTEGRATING EXECUTION PLATFORMS WITH ORDER MANAGEMENT SYSTEMS - Systems, methods, and computer program products are provided for integrating an order management system with execution facilities. According to the invention, at least one trade in an order management system (OMS) is selected to be or otherwise made available to be worked in an execution platform (EP). Order information in the OMS, corresponding to the at least one trade, is sent from the OMS to the EP without committing the underlying shares for the trade. It is determined if the EP is attempting to generate, or has generated, an executable trade order corresponding to the order information received from the OMS. If the determining step is positive, the shares corresponding to the executable order are committed in the OMS